Mine is the same way because I made a few group policy changes. I'm not sure which one did it (disabled both):
Lock Screen - Enable or Disable in Windows 10
Sign-in Screen Background Image - Enable or Disable in Windows 10
Issue fixed by using
"To enable or disable lock screen using a REG file" method.
Cool! Glad Brink's tutorial helped!
I had that mod in via GP Edit from v8. Once the Anniversary Update was installed it now ignores the setting even though the message still appears at the top.. I now get the Lock Screen when first starting the computer. This is one of the changes made by MS. They want the lock screen to appear. It gives them more places they can display ads. If you have only one user set up on your system and you don't require a password, the Lock Screen flashes momentarily, begins the login, and then proceeds to the desktop.
I am not about to do a clean install. I checked the Registry and it is set there also, so I do not know what is blocking it.
You will now find you can't disable the lock screen on log in and I can't get the Lock Screen slideshow mode to work.
I have this same problem on one system.